Romuald ELIE
Romuald ELIE
ACADEMIC PROFILE
Upcoming event
Thematic cycle on robust management in finance , October 2013 - June 2014
Preprints
- On the expectation of normalized Brownian functionals up to first hitting times , with M. Rosenbaum & M. Yor
- Approximate hedging for non linear transaction costs on the volume of traded assets, with E. Lepinette
Publications
- BSDE with weak terminal condition , with B. Bouchard & A. Reveillac, Annals of Probability, to appear (2014)
- When terminal facelift enforces Delta constraints , with J.-F. Chassagneux & I. Kharroubi, Finance and Stochastics, to appear (2014).
- BSDE representations for optimal switching problems with controlled volatility, with I. Kharroubi
Stochastics and Dynamics, to appear (2014).
- A simple constructive approach to quadratic BSDEs with or without delay, with P. Briand
Stochastic Processes and Applications, 123(8) pp 2921-2939 (2013).
- Adding constraints to BSDEs with Jumps: an alternative to multidimensional reflections, with I. Kharroubi,
ESAIM Probability and Statistics, to appear (2013).
- Optimal selling rules for monetary invariant criteria: tracking the maximum of a portfolio with negative drift, with G. Espinosa,
Mathematical Finance, to appear (2012).
- Discrete-time Approximation of Multidimensional BSDEs with oblique reflections, with J.-F. Chassagneux & I. Kharroubi,
Annals of Applied Probability, 22(3), pp 971-1007 (2012).
- A note on utility based pricing and asymptotic risk diversification, with B. Bouchard & L. Moreau, Mathematics and Financial Economics, 6-1 pp 59-74 (2012)
- A note on existence and uniqueness for solutions of multidimensional reflected BSDEs, with J.-F. Chassagneux & I. Kharroubi,
Electronic Communications in Probability, 16, pp 120–128 (2011)
- Probabilistic representation and approximation for coupled systems of variational inequalities, with I. Kharroubi,
Statistics and Probability letters, 80 (17-18) pp 1388-1396 (2010)
- Optimal control under stochastic target constraints, with B. Bouchard & C. Imbert, SIAM Journal on Control and Optimization 48-5 pp. 3501-3531 (2010)
- Stochastic target problems with control loss, with B. Bouchard & N. Touzi
SIAM Journal on Control and Optimization 48-5 pp. 3123-3150 (2009)
- Double Kernel estimation of sensitivities,
Journal of Applied probability, 46-3 (2009)
-Discrete-time Approximation of BSDEs and Probabilistic schemes for Fully Nonlinear PDEs, with B. Bouchard & N. Touzi,
Radon Series on Computational and Applied Mathematics (2009)
Applied Mathematics and Optimization, 58-3 (2008), pp. 411-431
-Optimal lifetime consumption-investment strategy under drawdown constraint, with N. Touzi, Finance and Stochastics, 12-3 (2008), pp. 299-330
- Discrete time approximation of decoupled FBSDE with jumps,
with B. Bouchard, Stochastic Processes and Applications, 118-1 (2008), 53-75
- Kernel estimation of Greek weights by parameter randomization,
with J.-D. Fermanian & N. Touzi, Annals of Applied Probability 17-4 (2007)
ACADEMIC POsition
Professor
Université Paris-Est Marne-la-Vallée
Affiliated to:
2011-2015 research grant:
Director of the
Research interests
Mathematical Finance
Numerical Probability
Stochastic Control
Backward SDEs
LECTURE NOTES
SEMINARS
contact
romuald.elie@univ-mlv.fr